FAT32 cannot save a file bigger than 4GB - you need an NTFS partition.
There is a possibility to convert your FAT32 to NTFS under WinXP w/o losing data:
convert <partition> /FS:NTFS /x
I don't know how safe this conversion is, I used this method to convert my HDD once and had not data loss or problems...
The only bad thing about NTFS is that win9x cannot see it and linux can only read from it. (maybe that changed already, don't know)